Re: st: sigma_e sigma_u

On Wed, Oct 12, 2011 at 6:07 AM, ningli wrote:
> What exactly Stata commands are used to produce the sigma_e and sigma_u
> in xtreg?
I am not sure what you are looking for:
- Do you want to get access to the estimates of sigma_e and sigma_u
after you have estimated your model with -xtreg-?
The answer is discussed in: M.L. Buis (2011) "Stata tip 97: Getting at
rhos and sigmas", The Stata Journal, 11(2), pp. 315-317.
- Do you want to know how Stata estimated these coefficients?
The answer is maximum likelihood
Hope this helps,
Maarten
--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany
http://www.maartenbuis.nl
--------------------------
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